"""
Ridge regression
"""

# Author: Mathieu Blondel <mathieu@mblondel.org>
#         Reuben Fletcher-Costin <reuben.fletchercostin@gmail.com>
#         Fabian Pedregosa <fabian@fseoane.net>
#         Michael Eickenberg <michael.eickenberg@nsup.org>
# License: BSD 3 clause


from abc import ABCMeta, abstractmethod
import warnings

import numpy as np
from scipy import linalg
from scipy import sparse
from scipy.sparse import linalg as sp_linalg

from .base import LinearClassifierMixin, LinearModel, _rescale_data
from .sag import sag_solver
from ..base import RegressorMixin
from ..utils.extmath import safe_sparse_dot
from ..utils.extmath import row_norms
from ..utils import check_X_y
from ..utils import check_array
from ..utils import check_consistent_length
from ..utils import compute_sample_weight
from ..utils import column_or_1d
from ..preprocessing import LabelBinarizer
from ..model_selection import GridSearchCV
from ..externals import six
from ..metrics.scorer import check_scoring


def _solve_sparse_cg(X, y, alpha, max_iter=None, tol=1e-3, verbose=0):
    n_samples, n_features = X.shape
    X1 = sp_linalg.aslinearoperator(X)
    coefs = np.empty((y.shape[1], n_features))

    if n_features > n_samples:
        def create_mv(curr_alpha):
            def _mv(x):
                return X1.matvec(X1.rmatvec(x)) + curr_alpha * x
            return _mv
    else:
        def create_mv(curr_alpha):
            def _mv(x):
                return X1.rmatvec(X1.matvec(x)) + curr_alpha * x
            return _mv

    for i in range(y.shape[1]):
        y_column = y[:, i]

        mv = create_mv(alpha[i])
        if n_features > n_samples:
            # kernel ridge
            # w = X.T * inv(X X^t + alpha*Id) y
            C = sp_linalg.LinearOperator(
                (n_samples, n_samples), matvec=mv, dtype=X.dtype)
            coef, info = sp_linalg.cg(C, y_column, tol=tol)
            coefs[i] = X1.rmatvec(coef)
        else:
            # linear ridge
            # w = inv(X^t X + alpha*Id) * X.T y
            y_column = X1.rmatvec(y_column)
            C = sp_linalg.LinearOperator(
                (n_features, n_features), matvec=mv, dtype=X.dtype)
            coefs[i], info = sp_linalg.cg(C, y_column, maxiter=max_iter,
                                          tol=tol)
        if info < 0:
            raise ValueError("Failed with error code %d" % info)

        if max_iter is None and info > 0 and verbose:
            warnings.warn("sparse_cg did not converge after %d iterations." %
                          info)

    return coefs


def _solve_lsqr(X, y, alpha, max_iter=None, tol=1e-3):
    n_samples, n_features = X.shape
    coefs = np.empty((y.shape[1], n_features))
    n_iter = np.empty(y.shape[1], dtype=np.int32)

    # According to the lsqr documentation, alpha = damp^2.
    sqrt_alpha = np.sqrt(alpha)

    for i in range(y.shape[1]):
        y_column = y[:, i]
        info = sp_linalg.lsqr(X, y_column, damp=sqrt_alpha[i],
                              atol=tol, btol=tol, iter_lim=max_iter)
        coefs[i] = info[0]
        n_iter[i] = info[2]

    return coefs, n_iter


def _solve_cholesky(X, y, alpha):
    # w = inv(X^t X + alpha*Id) * X.T y
    n_samples, n_features = X.shape
    n_targets = y.shape[1]

    A = safe_sparse_dot(X.T, X, dense_output=True)
    Xy = safe_sparse_dot(X.T, y, dense_output=True)

    one_alpha = np.array_equal(alpha, len(alpha) * [alpha[0]])

    if one_alpha:
        A.flat[::n_features + 1] += alpha[0]
        return linalg.solve(A, Xy, sym_pos=True,
                            overwrite_a=True).T
    else:
        coefs = np.empty([n_targets, n_features])
        for coef, target, current_alpha in zip(coefs, Xy.T, alpha):
            A.flat[::n_features + 1] += current_alpha
            coef[:] = linalg.solve(A, target, sym_pos=True,
                                   overwrite_a=False).ravel()
            A.flat[::n_features + 1] -= current_alpha
        return coefs


def _solve_cholesky_kernel(K, y, alpha, sample_weight=None, copy=False):
    # dual_coef = inv(X X^t + alpha*Id) y
    n_samples = K.shape[0]
    n_targets = y.shape[1]

    if copy:
        K = K.copy()

    alpha = np.atleast_1d(alpha)
    one_alpha = (alpha == alpha[0]).all()
    has_sw = isinstance(sample_weight, np.ndarray) \
        or sample_weight not in [1.0, None]

    if has_sw:
        # Unlike other solvers, we need to support sample_weight directly
        # because K might be a pre-computed kernel.
        sw = np.sqrt(np.atleast_1d(sample_weight))
        y = y * sw[:, np.newaxis]
        K *= np.outer(sw, sw)

    if one_alpha:
        # Only one penalty, we can solve multi-target problems in one time.
        K.flat[::n_samples + 1] += alpha[0]

        try:
            # Note: we must use overwrite_a=False in order to be able to
            #       use the fall-back solution below in case a LinAlgError
            #       is raised
            dual_coef = linalg.solve(K, y, sym_pos=True,
                                     overwrite_a=False)
        except np.linalg.LinAlgError:
            warnings.warn("Singular matrix in solving dual problem. Using "
                          "least-squares solution instead.")
            dual_coef = linalg.lstsq(K, y)[0]

        # K is expensive to compute and store in memory so change it back in
        # case it was user-given.
        K.flat[::n_samples + 1] -= alpha[0]

        if has_sw:
            dual_coef *= sw[:, np.newaxis]

        return dual_coef
    else:
        # One penalty per target. We need to solve each target separately.
        dual_coefs = np.empty([n_targets, n_samples])

        for dual_coef, target, current_alpha in zip(dual_coefs, y.T, alpha):
            K.flat[::n_samples + 1] += current_alpha

            dual_coef[:] = linalg.solve(K, target, sym_pos=True,
                                        overwrite_a=False).ravel()

            K.flat[::n_samples + 1] -= current_alpha

        if has_sw:
            dual_coefs *= sw[np.newaxis, :]

        return dual_coefs.T


def _solve_svd(X, y, alpha):
    U, s, Vt = linalg.svd(X, full_matrices=False)
    idx = s > 1e-15  # same default value as scipy.linalg.pinv
    s_nnz = s[idx][:, np.newaxis]
    UTy = np.dot(U.T, y)
    d = np.zeros((s.size, alpha.size))
    d[idx] = s_nnz / (s_nnz ** 2 + alpha)
    d_UT_y = d * UTy
    return np.dot(Vt.T, d_UT_y).T


def ridge_regression(X, y, alpha, sample_weight=None, solver='auto',
                     max_iter=None, tol=1e-3, verbose=0, random_state=None,
                     return_n_iter=False, return_intercept=False):
    """Solve the ridge equation by the method of normal equations.

    Read more in the :ref:`User Guide <ridge_regression>`.

    Parameters
    ----------
    X : {array-like, sparse matrix, LinearOperator},
        shape = [n_samples, n_features]
        Training data

    y : array-like, shape = [n_samples] or [n_samples, n_targets]
        Target values

    alpha : {float, array-like},
        shape = [n_targets] if array-like
        Regularization strength; must be a positive float. Regularization
        improves the conditioning of the problem and reduces the variance of
        the estimates. Larger values specify stronger regularization.
        Alpha corresponds to ``C^-1`` in other linear models such as
        LogisticRegression or LinearSVC. If an array is passed, penalties are
        assumed to be specific to the targets. Hence they must correspond in
        number.

    max_iter : int, optional
        Maximum number of iterations for conjugate gradient solver.
        For 'sparse_cg' and 'lsqr' solvers, the default value is determined
        by scipy.sparse.linalg. For 'sag' solver, the default value is 1000.

    sample_weight : float or numpy array of shape [n_samples]
        Individual weights for each sample. If sample_weight is not None and
        solver='auto', the solver will be set to 'cholesky'.

        .. versionadded:: 0.17

    solver : {'auto', 'svd', 'cholesky', 'lsqr', 'sparse_cg'}
        Solver to use in the computational routines:

        - 'auto' chooses the solver automatically based on the type of data.

        - 'svd' uses a Singular Value Decomposition of X to compute the Ridge
          coefficients. More stable for singular matrices than
          'cholesky'.

        - 'cholesky' uses the standard scipy.linalg.solve function to
          obtain a closed-form solution via a Cholesky decomposition of
          dot(X.T, X)

        - 'sparse_cg' uses the conjugate gradient solver as found in
          scipy.sparse.linalg.cg. As an iterative algorithm, this solver is
          more appropriate than 'cholesky' for large-scale data
          (possibility to set `tol` and `max_iter`).

        - 'lsqr' uses the dedicated regularized least-squares routine
          scipy.sparse.linalg.lsqr. It is the fastest but may not be available
          in old scipy versions. It also uses an iterative procedure.

        - 'sag' uses a Stochastic Average Gradient descent. It also uses an
          iterative procedure, and is often faster than other solvers when
          both n_samples and n_features are large. Note that 'sag' fast
          convergence is only guaranteed on features with approximately the
          same scale. You can preprocess the data with a scaler from
          sklearn.preprocessing.

        All last four solvers support both dense and sparse data. However,
        only 'sag' supports sparse input when `fit_intercept` is True.

        .. versionadded:: 0.17
           Stochastic Average Gradient descent solver.

    tol : float
        Precision of the solution.

    verbose : int
        Verbosity level. Setting verbose > 0 will display additional
        information depending on the solver used.

    random_state : int seed, RandomState instance, or None (default)
        The seed of the pseudo random number generator to use when
        shuffling the data. Used only in 'sag' solver.

    return_n_iter : boolean, default False
        If True, the method also returns `n_iter`, the actual number of
        iteration performed by the solver.

        .. versionadded:: 0.17

    return_intercept : boolean, default False
        If True and if X is sparse, the method also returns the intercept,
        and the solver is automatically changed to 'sag'. This is only a
        temporary fix for fitting the intercept with sparse data. For dense
        data, use sklearn.linear_model._preprocess_data before your regression.

        .. versionadded:: 0.17

    Returns
    -------
    coef : array, shape = [n_features] or [n_targets, n_features]
        Weight vector(s).

    n_iter : int, optional
        The actual number of iteration performed by the solver.
        Only returned if `return_n_iter` is True.

    intercept : float or array, shape = [n_targets]
        The intercept of the model. Only returned if `return_intercept`
        is True and if X is a scipy sparse array.

    Notes
    -----
    This function won't compute the intercept.
    """
    if return_intercept and sparse.issparse(X) and solver != 'sag':
        if solver != 'auto':
            warnings.warn("In Ridge, only 'sag' solver can currently fit the "
                          "intercept when X is sparse. Solver has been "
                          "automatically changed into 'sag'.")
        solver = 'sag'

    # SAG needs X and y columns to be C-contiguous and np.float64
    if solver == 'sag':
        X = check_array(X, accept_sparse=['csr'],
                        dtype=np.float64, order='C')
        y = check_array(y, dtype=np.float64, ensure_2d=False, order='F')
    else:
        X = check_array(X, accept_sparse=['csr', 'csc', 'coo'],
                        dtype=np.float64)
        y = check_array(y, dtype='numeric', ensure_2d=False)
    check_consistent_length(X, y)

    n_samples, n_features = X.shape

    if y.ndim > 2:
        raise ValueError("Target y has the wrong shape %s" % str(y.shape))

    ravel = False
    if y.ndim == 1:
        y = y.reshape(-1, 1)
        ravel = True

    n_samples_, n_targets = y.shape

    if n_samples != n_samples_:
        raise ValueError("Number of samples in X and y does not correspond:"
                         " %d != %d" % (n_samples, n_samples_))

    has_sw = sample_weight is not None

    if solver == 'auto':
        # cholesky if it's a dense array and cg in any other case
        if not sparse.issparse(X) or has_sw:
            solver = 'cholesky'
        else:
            solver = 'sparse_cg'

    elif solver == 'lsqr' and not hasattr(sp_linalg, 'lsqr'):
        warnings.warn("""lsqr not available on this machine, falling back
                      to sparse_cg.""")
        solver = 'sparse_cg'

    if has_sw:
        if np.atleast_1d(sample_weight).ndim > 1:
            raise ValueError("Sample weights must be 1D array or scalar")

        if solver != 'sag':
            # SAG supports sample_weight directly. For other solvers,
            # we implement sample_weight via a simple rescaling.
            X, y = _rescale_data(X, y, sample_weight)

    # There should be either 1 or n_targets penalties
    alpha = np.asarray(alpha).ravel()
    if alpha.size not in [1, n_targets]:
        raise ValueError("Number of targets and number of penalties "
                         "do not correspond: %d != %d"
                         % (alpha.size, n_targets))

    if alpha.size == 1 and n_targets > 1:
        alpha = np.repeat(alpha, n_targets)

    if solver not in ('sparse_cg', 'cholesky', 'svd', 'lsqr', 'sag'):
        raise ValueError('Solver %s not understood' % solver)

    n_iter = None
    if solver == 'sparse_cg':
        coef = _solve_sparse_cg(X, y, alpha, max_iter, tol, verbose)

    elif solver == 'lsqr':
        coef, n_iter = _solve_lsqr(X, y, alpha, max_iter, tol)

    elif solver == 'cholesky':
        if n_features > n_samples:
            K = safe_sparse_dot(X, X.T, dense_output=True)
            try:
                dual_coef = _solve_cholesky_kernel(K, y, alpha)

                coef = safe_sparse_dot(X.T, dual_coef, dense_output=True).T
            except linalg.LinAlgError:
                # use SVD solver if matrix is singular
                solver = 'svd'

        else:
            try:
                coef = _solve_cholesky(X, y, alpha)
            except linalg.LinAlgError:
                # use SVD solver if matrix is singular
                solver = 'svd'

    elif solver == 'sag':
        # precompute max_squared_sum for all targets
        max_squared_sum = row_norms(X, squared=True).max()

        coef = np.empty((y.shape[1], n_features))
        n_iter = np.empty(y.shape[1], dtype=np.int32)
        intercept = np.zeros((y.shape[1], ))
        for i, (alpha_i, target) in enumerate(zip(alpha, y.T)):
            init = {'coef': np.zeros((n_features + int(return_intercept), 1))}
            coef_, n_iter_, _ = sag_solver(
                X, target.ravel(), sample_weight, 'squared', alpha_i,
                max_iter, tol, verbose, random_state, False, max_squared_sum,
                init)
            if return_intercept:
                coef[i] = coef_[:-1]
                intercept[i] = coef_[-1]
            else:
                coef[i] = coef_
            n_iter[i] = n_iter_

        if intercept.shape[0] == 1:
            intercept = intercept[0]
        coef = np.asarray(coef)

    if solver == 'svd':
        if sparse.issparse(X):
            raise TypeError('SVD solver does not support sparse'
                            ' inputs currently')
        coef = _solve_svd(X, y, alpha)

    if ravel:
        # When y was passed as a 1d-array, we flatten the coefficients.
        coef = coef.ravel()

    if return_n_iter and return_intercept:
        return coef, n_iter, intercept
    elif return_intercept:
        return coef, intercept
    elif return_n_iter:
        return coef, n_iter
    else:
        return coef


class _BaseRidge(six.with_metaclass(ABCMeta, LinearModel)):

    @abstractmethod
    def __init__(self, alpha=1.0, fit_intercept=True, normalize=False,
                 copy_X=True, max_iter=None, tol=1e-3, solver="auto",
                 random_state=None):
        self.alpha = alpha
        self.fit_intercept = fit_intercept
        self.normalize = normalize
        self.copy_X = copy_X
        self.max_iter = max_iter
        self.tol = tol
        self.solver = solver
        self.random_state = random_state

    def fit(self, X, y, sample_weight=None):
        X, y = check_X_y(X, y, ['csr', 'csc', 'coo'], dtype=np.float64,
                         multi_output=True, y_numeric=True)

        if ((sample_weight is not None) and
                np.atleast_1d(sample_weight).ndim > 1):
            raise ValueError("Sample weights must be 1D array or scalar")

        X, y, X_offset, y_offset, X_scale = self._preprocess_data(
            X, y, self.fit_intercept, self.normalize, self.copy_X,
            sample_weight=sample_weight)

        # temporary fix for fitting the intercept with sparse data using 'sag'
        if sparse.issparse(X) and self.fit_intercept:
            self.coef_, self.n_iter_, self.intercept_ = ridge_regression(
                X, y, alpha=self.alpha, sample_weight=sample_weight,
                max_iter=self.max_iter, tol=self.tol, solver=self.solver,
                random_state=self.random_state, return_n_iter=True,
                return_intercept=True)
            self.intercept_ += y_offset
        else:
            self.coef_, self.n_iter_ = ridge_regression(
                X, y, alpha=self.alpha, sample_weight=sample_weight,
                max_iter=self.max_iter, tol=self.tol, solver=self.solver,
                random_state=self.random_state, return_n_iter=True,
                return_intercept=False)
            self._set_intercept(X_offset, y_offset, X_scale)

        return self


class Ridge(_BaseRidge, RegressorMixin):
    """Linear least squares with l2 regularization.

    This model solves a regression model where the loss function is
    the linear least squares function and regularization is given by
    the l2-norm. Also known as Ridge Regression or Tikhonov regularization.
    This estimator has built-in support for multi-variate regression
    (i.e., when y is a 2d-array of shape [n_samples, n_targets]).

    Read more in the :ref:`User Guide <ridge_regression>`.

    Parameters
    ----------
    alpha : {float, array-like}, shape (n_targets)
        Regularization strength; must be a positive float. Regularization
        improves the conditioning of the problem and reduces the variance of
        the estimates. Larger values specify stronger regularization.
        Alpha corresponds to ``C^-1`` in other linear models such as
        LogisticRegression or LinearSVC. If an array is passed, penalties are
        assumed to be specific to the targets. Hence they must correspond in
        number.

    copy_X : boolean, optional, default True
        If True, X will be copied; else, it may be overwritten.

    fit_intercept : boolean
        Whether to calculate the intercept for this model. If set
        to false, no intercept will be used in calculations
        (e.g. data is expected to be already centered).

    max_iter : int, optional
        Maximum number of iterations for conjugate gradient solver.
        For 'sparse_cg' and 'lsqr' solvers, the default value is determined
        by scipy.sparse.linalg. For 'sag' solver, the default value is 1000.

    normalize : boolean, optional, default False
        If True, the regressors X will be normalized before regression.
        This parameter is ignored when `fit_intercept` is set to False.
        When the regressors are normalized, note that this makes the
        hyperparameters learnt more robust and almost independent of the number
        of samples. The same property is not valid for standardized data.
        However, if you wish to standardize, please use
        `preprocessing.StandardScaler` before calling `fit` on an estimator
        with `normalize=False`.

    solver : {'auto', 'svd', 'cholesky', 'lsqr', 'sparse_cg', 'sag'}
        Solver to use in the computational routines:

        - 'auto' chooses the solver automatically based on the type of data.

        - 'svd' uses a Singular Value Decomposition of X to compute the Ridge
          coefficients. More stable for singular matrices than
          'cholesky'.

        - 'cholesky' uses the standard scipy.linalg.solve function to
          obtain a closed-form solution.

        - 'sparse_cg' uses the conjugate gradient solver as found in
          scipy.sparse.linalg.cg. As an iterative algorithm, this solver is
          more appropriate than 'cholesky' for large-scale data
          (possibility to set `tol` and `max_iter`).

        - 'lsqr' uses the dedicated regularized least-squares routine
          scipy.sparse.linalg.lsqr. It is the fastest but may not be available
          in old scipy versions. It also uses an iterative procedure.

        - 'sag' uses a Stochastic Average Gradient descent. It also uses an
          iterative procedure, and is often faster than other solvers when
          both n_samples and n_features are large. Note that 'sag' fast
          convergence is only guaranteed on features with approximately the
          same scale. You can preprocess the data with a scaler from
          sklearn.preprocessing.

        All last four solvers support both dense and sparse data. However,
        only 'sag' supports sparse input when `fit_intercept` is True.

        .. versionadded:: 0.17
           Stochastic Average Gradient descent solver.

    tol : float
        Precision of the solution.

    random_state : int seed, RandomState instance, or None (default)
        The seed of the pseudo random number generator to use when
        shuffling the data. Used only in 'sag' solver.

        .. versionadded:: 0.17
           *random_state* to support Stochastic Average Gradient.

    Attributes
    ----------
    coef_ : array, shape (n_features,) or (n_targets, n_features)
        Weight vector(s).

    intercept_ : float | array, shape = (n_targets,)
        Independent term in decision function. Set to 0.0 if
        ``fit_intercept = False``.

    n_iter_ : array or None, shape (n_targets,)
        Actual number of iterations for each target. Available only for
        sag and lsqr solvers. Other solvers will return None.

        .. versionadded:: 0.17

    See also
    --------
    RidgeClassifier, RidgeCV, :class:`sklearn.kernel_ridge.KernelRidge`

    Examples
    --------
    >>> from sklearn.linear_model import Ridge
    >>> import numpy as np
    >>> n_samples, n_features = 10, 5
    >>> np.random.seed(0)
    >>> y = np.random.randn(n_samples)
    >>> X = np.random.randn(n_samples, n_features)
    >>> clf = Ridge(alpha=1.0)
    >>> clf.fit(X, y) # doctest: +NORMALIZE_WHITESPACE
    Ridge(alpha=1.0, copy_X=True, fit_intercept=True, max_iter=None,
          normalize=False, random_state=None, solver='auto', tol=0.001)

    """
    def __init__(self, alpha=1.0, fit_intercept=True, normalize=False,
                 copy_X=True, max_iter=None, tol=1e-3, solver="auto",
                 random_state=None):
        super(Ridge, self).__init__(alpha=alpha, fit_intercept=fit_intercept,
                                    normalize=normalize, copy_X=copy_X,
                                    max_iter=max_iter, tol=tol, solver=solver,
                                    random_state=random_state)

    def fit(self, X, y, sample_weight=None):
        """Fit Ridge regression model

        Parameters
        ----------
        X : {array-like, sparse matrix}, shape = [n_samples, n_features]
            Training data

        y : array-like, shape = [n_samples] or [n_samples, n_targets]
            Target values

        sample_weight : float or numpy array of shape [n_samples]
            Individual weights for each sample

        Returns
        -------
        self : returns an instance of self.
        """
        return super(Ridge, self).fit(X, y, sample_weight=sample_weight)


class RidgeClassifier(LinearClassifierMixin, _BaseRidge):
    """Classifier using Ridge regression.

    Read more in the :ref:`User Guide <ridge_regression>`.

    Parameters
    ----------
    alpha : float
        Regularization strength; must be a positive float. Regularization
        improves the conditioning of the problem and reduces the variance of
        the estimates. Larger values specify stronger regularization.
        Alpha corresponds to ``C^-1`` in other linear models such as
        LogisticRegression or LinearSVC.

    class_weight : dict or 'balanced', optional
        Weights associated with classes in the form ``{class_label: weight}``.
        If not given, all classes are supposed to have weight one.

        The "balanced" mode uses the values of y to automatically adjust
        weights inversely proportional to class frequencies in the input data
        as ``n_samples / (n_classes * np.bincount(y))``

    copy_X : boolean, optional, default True
        If True, X will be copied; else, it may be overwritten.

    fit_intercept : boolean
        Whether to calculate the intercept for this model. If set to false, no
        intercept will be used in calculations (e.g. data is expected to be
        already centered).

    max_iter : int, optional
        Maximum number of iterations for conjugate gradient solver.
        The default value is determined by scipy.sparse.linalg.

    normalize : boolean, optional, default False
        If True, the regressors X will be normalized before regression.
        This parameter is ignored when `fit_intercept` is set to False.
        When the regressors are normalized, note that this makes the
        hyperparameters learnt more robust and almost independent of the number
        of samples. The same property is not valid for standardized data.
        However, if you wish to standardize, please use
        `preprocessing.StandardScaler` before calling `fit` on an estimator
        with `normalize=False`.

    solver : {'auto', 'svd', 'cholesky', 'lsqr', 'sparse_cg', 'sag'}
        Solver to use in the computational routines:

        - 'auto' chooses the solver automatically based on the type of data.

        - 'svd' uses a Singular Value Decomposition of X to compute the Ridge
          coefficients. More stable for singular matrices than
          'cholesky'.

        - 'cholesky' uses the standard scipy.linalg.solve function to
          obtain a closed-form solution.

        - 'sparse_cg' uses the conjugate gradient solver as found in
          scipy.sparse.linalg.cg. As an iterative algorithm, this solver is
          more appropriate than 'cholesky' for large-scale data
          (possibility to set `tol` and `max_iter`).

        - 'lsqr' uses the dedicated regularized least-squares routine
          scipy.sparse.linalg.lsqr. It is the fastest but may not be available
          in old scipy versions. It also uses an iterative procedure.

        - 'sag' uses a Stochastic Average Gradient descent. It also uses an
          iterative procedure, and is faster than other solvers when both
          n_samples and n_features are large.

          .. versionadded:: 0.17
             Stochastic Average Gradient descent solver.

    tol : float
        Precision of the solution.

    random_state : int seed, RandomState instance, or None (default)
        The seed of the pseudo random number generator to use when
        shuffling the data. Used in 'sag' solver.

    Attributes
    ----------
    coef_ : array, shape (n_features,) or (n_classes, n_features)
        Weight vector(s).

    intercept_ : float | array, shape = (n_targets,)
        Independent term in decision function. Set to 0.0 if
        ``fit_intercept = False``.

    n_iter_ : array or None, shape (n_targets,)
        Actual number of iterations for each target. Available only for
        sag and lsqr solvers. Other solvers will return None.

    See also
    --------
    Ridge, RidgeClassifierCV

    Notes
    -----
    For multi-class classification, n_class classifiers are trained in
    a one-versus-all approach. Concretely, this is implemented by taking
    advantage of the multi-variate response support in Ridge.
    """
    def __init__(self, alpha=1.0, fit_intercept=True, normalize=False,
                 copy_X=True, max_iter=None, tol=1e-3, class_weight=None,
                 solver="auto", random_state=None):
        super(RidgeClassifier, self).__init__(
            alpha=alpha, fit_intercept=fit_intercept, normalize=normalize,
            copy_X=copy_X, max_iter=max_iter, tol=tol, solver=solver,
            random_state=random_state)
        self.class_weight = class_weight

    def fit(self, X, y, sample_weight=None):
        """Fit Ridge regression model.

        Parameters
        ----------
        X : {array-like, sparse matrix}, shape = [n_samples,n_features]
            Training data

        y : array-like, shape = [n_samples]
            Target values

        sample_weight : float or numpy array of shape (n_samples,)
            Sample weight.

            .. versionadded:: 0.17
               *sample_weight* support to Classifier.

        Returns
        -------
        self : returns an instance of self.
        """
        self._label_binarizer = LabelBinarizer(pos_label=1, neg_label=-1)
        Y = self._label_binarizer.fit_transform(y)
        if not self._label_binarizer.y_type_.startswith('multilabel'):
            y = column_or_1d(y, warn=True)
        else:
            # we don't (yet) support multi-label classification in Ridge
            raise ValueError(
                "%s doesn't support multi-label classification" % (
                    self.__class__.__name__))

        if self.class_weight:
            if sample_weight is None:
                sample_weight = 1.
            # modify the sample weights with the corresponding class weight
            sample_weight = (sample_weight *
                             compute_sample_weight(self.class_weight, y))

        super(RidgeClassifier, self).fit(X, Y, sample_weight=sample_weight)
        return self

    @property
    def classes_(self):
        return self._label_binarizer.classes_


class _RidgeGCV(LinearModel):
    """Ridge regression with built-in Generalized Cross-Validation

    It allows efficient Leave-One-Out cross-validation.

    This class is not intended to be used directly. Use RidgeCV instead.

    Notes
    -----

    We want to solve (K + alpha*Id)c = y,
    where K = X X^T is the kernel matrix.

    Let G = (K + alpha*Id)^-1.

    Dual solution: c = Gy
    Primal solution: w = X^T c

    Compute eigendecomposition K = Q V Q^T.
    Then G = Q (V + alpha*Id)^-1 Q^T,
    where (V + alpha*Id) is diagonal.
    It is thus inexpensive to inverse for many alphas.

    Let loov be the vector of prediction values for each example
    when the model was fitted with all examples but this example.

    loov = (KGY - diag(KG)Y) / diag(I-KG)

    Let looe be the vector of prediction errors for each example
    when the model was fitted with all examples but this example.

    looe = y - loov = c / diag(G)

    References
    ----------
    http://cbcl.mit.edu/projects/cbcl/publications/ps/MIT-CSAIL-TR-2007-025.pdf
    http://www.mit.edu/~9.520/spring07/Classes/rlsslides.pdf
    """

    def __init__(self, alphas=(0.1, 1.0, 10.0),
                 fit_intercept=True, normalize=False,
                 scoring=None, copy_X=True,
                 gcv_mode=None, store_cv_values=False):
        self.alphas = np.asarray(alphas)
        self.fit_intercept = fit_intercept
        self.normalize = normalize
        self.scoring = scoring
        self.copy_X = copy_X
        self.gcv_mode = gcv_mode
        self.store_cv_values = store_cv_values

    def _pre_compute(self, X, y, centered_kernel=True):
        # even if X is very sparse, K is usually very dense
        K = safe_sparse_dot(X, X.T, dense_output=True)
        # the following emulates an additional constant regressor
        # corresponding to fit_intercept=True
        # but this is done only when the features have been centered
        if centered_kernel:
            K += np.ones_like(K)
        v, Q = linalg.eigh(K)
        QT_y = np.dot(Q.T, y)
        return v, Q, QT_y

    def _decomp_diag(self, v_prime, Q):
        # compute diagonal of the matrix: dot(Q, dot(diag(v_prime), Q^T))
        return (v_prime * Q ** 2).sum(axis=-1)

    def _diag_dot(self, D, B):
        # compute dot(diag(D), B)
        if len(B.shape) > 1:
            # handle case where B is > 1-d
            D = D[(slice(None), ) + (np.newaxis, ) * (len(B.shape) - 1)]
        return D * B

    def _errors_and_values_helper(self, alpha, y, v, Q, QT_y):
        """Helper function to avoid code duplication between self._errors and
        self._values.

        Notes
        -----
        We don't construct matrix G, instead compute action on y & diagonal.
        """
        w = 1. / (v + alpha)
        constant_column = np.var(Q, 0) < 1.e-12
        # detect constant columns
        w[constant_column] = 0  # cancel the regularization for the intercept

        c = np.dot(Q, self._diag_dot(w, QT_y))
        G_diag = self._decomp_diag(w, Q)
        # handle case where y is 2-d
        if len(y.shape) != 1:
            G_diag = G_diag[:, np.newaxis]
        return G_diag, c

    def _errors(self, alpha, y, v, Q, QT_y):
        G_diag, c = self._errors_and_values_helper(alpha, y, v, Q, QT_y)
        return (c / G_diag) ** 2, c

    def _values(self, alpha, y, v, Q, QT_y):
        G_diag, c = self._errors_and_values_helper(alpha, y, v, Q, QT_y)
        return y - (c / G_diag), c

    def _pre_compute_svd(self, X, y, centered_kernel=True):
        if sparse.issparse(X):
            raise TypeError("SVD not supported for sparse matrices")
        if centered_kernel:
            X = np.hstack((X, np.ones((X.shape[0], 1))))
        # to emulate fit_intercept=True situation, add a column on ones
        # Note that by centering, the other columns are orthogonal to that one
        U, s, _ = linalg.svd(X, full_matrices=0)
        v = s ** 2
        UT_y = np.dot(U.T, y)
        return v, U, UT_y

    def _errors_and_values_svd_helper(self, alpha, y, v, U, UT_y):
        """Helper function to avoid code duplication between self._errors_svd
        and self._values_svd.
        """
        constant_column = np.var(U, 0) < 1.e-12
        # detect columns colinear to ones
        w = ((v + alpha) ** -1) - (alpha ** -1)
        w[constant_column] = - (alpha ** -1)
        # cancel the regularization for the intercept
        c = np.dot(U, self._diag_dot(w, UT_y)) + (alpha ** -1) * y
        G_diag = self._decomp_diag(w, U) + (alpha ** -1)
        if len(y.shape) != 1:
            # handle case where y is 2-d
            G_diag = G_diag[:, np.newaxis]
        return G_diag, c

    def _errors_svd(self, alpha, y, v, U, UT_y):
        G_diag, c = self._errors_and_values_svd_helper(alpha, y, v, U, UT_y)
        return (c / G_diag) ** 2, c

    def _values_svd(self, alpha, y, v, U, UT_y):
        G_diag, c = self._errors_and_values_svd_helper(alpha, y, v, U, UT_y)
        return y - (c / G_diag), c

    def fit(self, X, y, sample_weight=None):
        """Fit Ridge regression model

        Parameters
        ----------
        X : {array-like, sparse matrix}, shape = [n_samples, n_features]
            Training data

        y : array-like, shape = [n_samples] or [n_samples, n_targets]
            Target values

        sample_weight : float or array-like of shape [n_samples]
            Sample weight

        Returns
        -------
        self : Returns self.
        """
        X, y = check_X_y(X, y, ['csr', 'csc', 'coo'], dtype=np.float64,
                         multi_output=True, y_numeric=True)
        if sample_weight is not None and not isinstance(sample_weight, float):
            sample_weight = check_array(sample_weight, ensure_2d=False)
        n_samples, n_features = X.shape

        X, y, X_offset, y_offset, X_scale = LinearModel._preprocess_data(
            X, y, self.fit_intercept, self.normalize, self.copy_X,
            sample_weight=sample_weight)

        gcv_mode = self.gcv_mode
        with_sw = len(np.shape(sample_weight))

        if gcv_mode is None or gcv_mode == 'auto':
            if sparse.issparse(X) or n_features > n_samples or with_sw:
                gcv_mode = 'eigen'
            else:
                gcv_mode = 'svd'
        elif gcv_mode == "svd" and with_sw:
            # FIXME non-uniform sample weights not yet supported
            warnings.warn("non-uniform sample weights unsupported for svd, "
                          "forcing usage of eigen")
            gcv_mode = 'eigen'

        if gcv_mode == 'eigen':
            _pre_compute = self._pre_compute
            _errors = self._errors
            _values = self._values
        elif gcv_mode == 'svd':
            # assert n_samples >= n_features
            _pre_compute = self._pre_compute_svd
            _errors = self._errors_svd
            _values = self._values_svd
        else:
            raise ValueError('bad gcv_mode "%s"' % gcv_mode)

        if sample_weight is not None:
            X, y = _rescale_data(X, y, sample_weight)

        centered_kernel = not sparse.issparse(X) and self.fit_intercept

        v, Q, QT_y = _pre_compute(X, y, centered_kernel)
        n_y = 1 if len(y.shape) == 1 else y.shape[1]
        cv_values = np.zeros((n_samples * n_y, len(self.alphas)))
        C = []

        scorer = check_scoring(self, scoring=self.scoring, allow_none=True)
        error = scorer is None

        for i, alpha in enumerate(self.alphas):
            if error:
                out, c = _errors(alpha, y, v, Q, QT_y)
            else:
                out, c = _values(alpha, y, v, Q, QT_y)
            cv_values[:, i] = out.ravel()
            C.append(c)

        if error:
            best = cv_values.mean(axis=0).argmin()
        else:
            # The scorer want an object that will make the predictions but
            # they are already computed efficiently by _RidgeGCV. This
            # identity_estimator will just return them
            def identity_estimator():
                pass
            identity_estimator.decision_function = lambda y_predict: y_predict
            identity_estimator.predict = lambda y_predict: y_predict

            out = [scorer(identity_estimator, y.ravel(), cv_values[:, i])
                   for i in range(len(self.alphas))]
            best = np.argmax(out)

        self.alpha_ = self.alphas[best]
        self.dual_coef_ = C[best]
        self.coef_ = safe_sparse_dot(self.dual_coef_.T, X)

        self._set_intercept(X_offset, y_offset, X_scale)

        if self.store_cv_values:
            if len(y.shape) == 1:
                cv_values_shape = n_samples, len(self.alphas)
            else:
                cv_values_shape = n_samples, n_y, len(self.alphas)
            self.cv_values_ = cv_values.reshape(cv_values_shape)

        return self


class _BaseRidgeCV(LinearModel):
    def __init__(self, alphas=(0.1, 1.0, 10.0),
                 fit_intercept=True, normalize=False, scoring=None,
                 cv=None, gcv_mode=None,
                 store_cv_values=False):
        self.alphas = alphas
        self.fit_intercept = fit_intercept
        self.normalize = normalize
        self.scoring = scoring
        self.cv = cv
        self.gcv_mode = gcv_mode
        self.store_cv_values = store_cv_values

    def fit(self, X, y, sample_weight=None):
        """Fit Ridge regression model

        Parameters
        ----------
        X : array-like, shape = [n_samples, n_features]
            Training data

        y : array-like, shape = [n_samples] or [n_samples, n_targets]
            Target values

        sample_weight : float or array-like of shape [n_samples]
            Sample weight

        Returns
        -------
        self : Returns self.
        """
        if self.cv is None:
            estimator = _RidgeGCV(self.alphas,
                                  fit_intercept=self.fit_intercept,
                                  normalize=self.normalize,
                                  scoring=self.scoring,
                                  gcv_mode=self.gcv_mode,
                                  store_cv_values=self.store_cv_values)
            estimator.fit(X, y, sample_weight=sample_weight)
            self.alpha_ = estimator.alpha_
            if self.store_cv_values:
                self.cv_values_ = estimator.cv_values_
        else:
            if self.store_cv_values:
                raise ValueError("cv!=None and store_cv_values=True "
                                 " are incompatible")
            parameters = {'alpha': self.alphas}
            gs = GridSearchCV(Ridge(fit_intercept=self.fit_intercept),
                              parameters, cv=self.cv, scoring=self.scoring)
            gs.fit(X, y, sample_weight=sample_weight)
            estimator = gs.best_estimator_
            self.alpha_ = gs.best_estimator_.alpha

        self.coef_ = estimator.coef_
        self.intercept_ = estimator.intercept_

        return self


class RidgeCV(_BaseRidgeCV, RegressorMixin):
    """Ridge regression with built-in cross-validation.

    By default, it performs Generalized Cross-Validation, which is a form of
    efficient Leave-One-Out cross-validation.

    Read more in the :ref:`User Guide <ridge_regression>`.

    Parameters
    ----------
    alphas : numpy array of shape [n_alphas]
        Array of alpha values to try.
        Regularization strength; must be a positive float. Regularization
        improves the conditioning of the problem and reduces the variance of
        the estimates. Larger values specify stronger regularization.
        Alpha corresponds to ``C^-1`` in other linear models such as
        LogisticRegression or LinearSVC.

    fit_intercept : boolean
        Whether to calculate the intercept for this model. If set
        to false, no intercept will be used in calculations
        (e.g. data is expected to be already centered).

    normalize : boolean, optional, default False
        If True, the regressors X will be normalized before regression.
        This parameter is ignored when `fit_intercept` is set to False.
        When the regressors are normalized, note that this makes the
        hyperparameters learnt more robust and almost independent of the number
        of samples. The same property is not valid for standardized data.
        However, if you wish to standardize, please use
        `preprocessing.StandardScaler` before calling `fit` on an estimator
        with `normalize=False`.

    scoring : string, callable or None, optional, default: None
        A string (see model evaluation documentation) or
        a scorer callable object / function with signature
        ``scorer(estimator, X, y)``.

    cv : int, cross-validation generator or an iterable, optional
        Determines the cross-validation splitting strategy.
        Possible inputs for cv are:

        - None, to use the efficient Leave-One-Out cross-validation
        - integer, to specify the number of folds.
        - An object to be used as a cross-validation generator.
        - An iterable yielding train/test splits.

        For integer/None inputs, if ``y`` is binary or multiclass,
        :class:`sklearn.model_selection.StratifiedKFold` is used, else,
        :class:`sklearn.model_selection.KFold` is used.

        Refer :ref:`User Guide <cross_validation>` for the various
        cross-validation strategies that can be used here.

    gcv_mode : {None, 'auto', 'svd', eigen'}, optional
        Flag indicating which strategy to use when performing
        Generalized Cross-Validation. Options are::

            'auto' : use svd if n_samples > n_features or when X is a sparse
                     matrix, otherwise use eigen
            'svd' : force computation via singular value decomposition of X
                    (does not work for sparse matrices)
            'eigen' : force computation via eigendecomposition of X^T X

        The 'auto' mode is the default and is intended to pick the cheaper
        option of the two depending upon the shape and format of the training
        data.

    store_cv_values : boolean, default=False
        Flag indicating if the cross-validation values corresponding to
        each alpha should be stored in the `cv_values_` attribute (see
        below). This flag is only compatible with `cv=None` (i.e. using
        Generalized Cross-Validation).

    Attributes
    ----------
    cv_values_ : array, shape = [n_samples, n_alphas] or \
        shape = [n_samples, n_targets, n_alphas], optional
        Cross-validation values for each alpha (if `store_cv_values=True` and \
        `cv=None`). After `fit()` has been called, this attribute will \
        contain the mean squared errors (by default) or the values of the \
        `{loss,score}_func` function (if provided in the constructor).

    coef_ : array, shape = [n_features] or [n_targets, n_features]
        Weight vector(s).

    intercept_ : float | array, shape = (n_targets,)
        Independent term in decision function. Set to 0.0 if
        ``fit_intercept = False``.

    alpha_ : float
        Estimated regularization parameter.

    See also
    --------
    Ridge: Ridge regression
    RidgeClassifier: Ridge classifier
    RidgeClassifierCV: Ridge classifier with built-in cross validation
    """
    pass


class RidgeClassifierCV(LinearClassifierMixin, _BaseRidgeCV):
    """Ridge classifier with built-in cross-validation.

    By default, it performs Generalized Cross-Validation, which is a form of
    efficient Leave-One-Out cross-validation. Currently, only the n_features >
    n_samples case is handled efficiently.

    Read more in the :ref:`User Guide <ridge_regression>`.

    Parameters
    ----------
    alphas : numpy array of shape [n_alphas]
        Array of alpha values to try.
        Regularization strength; must be a positive float. Regularization
        improves the conditioning of the problem and reduces the variance of
        the estimates. Larger values specify stronger regularization.
        Alpha corresponds to ``C^-1`` in other linear models such as
        LogisticRegression or LinearSVC.

    fit_intercept : boolean
        Whether to calculate the intercept for this model. If set
        to false, no intercept will be used in calculations
        (e.g. data is expected to be already centered).

    normalize : boolean, optional, default False
        If True, the regressors X will be normalized before regression.
        This parameter is ignored when `fit_intercept` is set to False.
        When the regressors are normalized, note that this makes the
        hyperparameters learnt more robust and almost independent of the number
        of samples. The same property is not valid for standardized data.
        However, if you wish to standardize, please use
        `preprocessing.StandardScaler` before calling `fit` on an estimator
        with `normalize=False`.

    scoring : string, callable or None, optional, default: None
        A string (see model evaluation documentation) or
        a scorer callable object / function with signature
        ``scorer(estimator, X, y)``.

    cv : int, cross-validation generator or an iterable, optional
        Determines the cross-validation splitting strategy.
        Possible inputs for cv are:

        - None, to use the efficient Leave-One-Out cross-validation
        - integer, to specify the number of folds.
        - An object to be used as a cross-validation generator.
        - An iterable yielding train/test splits.

        Refer :ref:`User Guide <cross_validation>` for the various
        cross-validation strategies that can be used here.

    class_weight : dict or 'balanced', optional
        Weights associated with classes in the form ``{class_label: weight}``.
        If not given, all classes are supposed to have weight one.

        The "balanced" mode uses the values of y to automatically adjust
        weights inversely proportional to class frequencies in the input data
        as ``n_samples / (n_classes * np.bincount(y))``

    Attributes
    ----------
    cv_values_ : array, shape = [n_samples, n_alphas] or \
    shape = [n_samples, n_responses, n_alphas], optional
        Cross-validation values for each alpha (if `store_cv_values=True` and
    `cv=None`). After `fit()` has been called, this attribute will contain \
    the mean squared errors (by default) or the values of the \
    `{loss,score}_func` function (if provided in the constructor).

    coef_ : array, shape = [n_features] or [n_targets, n_features]
        Weight vector(s).

    intercept_ : float | array, shape = (n_targets,)
        Independent term in decision function. Set to 0.0 if
        ``fit_intercept = False``.

    alpha_ : float
        Estimated regularization parameter

    See also
    --------
    Ridge: Ridge regression
    RidgeClassifier: Ridge classifier
    RidgeCV: Ridge regression with built-in cross validation

    Notes
    -----
    For multi-class classification, n_class classifiers are trained in
    a one-versus-all approach. Concretely, this is implemented by taking
    advantage of the multi-variate response support in Ridge.
    """
    def __init__(self, alphas=(0.1, 1.0, 10.0), fit_intercept=True,
                 normalize=False, scoring=None, cv=None, class_weight=None):
        super(RidgeClassifierCV, self).__init__(
            alphas=alphas, fit_intercept=fit_intercept, normalize=normalize,
            scoring=scoring, cv=cv)
        self.class_weight = class_weight

    def fit(self, X, y, sample_weight=None):
        """Fit the ridge classifier.

        Parameters
        ----------
        X : array-like, shape (n_samples, n_features)
            Training vectors, where n_samples is the number of samples
            and n_features is the number of features.

        y : array-like, shape (n_samples,)
            Target values.

        sample_weight : float or numpy array of shape (n_samples,)
            Sample weight.

        Returns
        -------
        self : object
            Returns self.
        """
        self._label_binarizer = LabelBinarizer(pos_label=1, neg_label=-1)
        Y = self._label_binarizer.fit_transform(y)
        if not self._label_binarizer.y_type_.startswith('multilabel'):
            y = column_or_1d(y, warn=True)

        if self.class_weight:
            if sample_weight is None:
                sample_weight = 1.
            # modify the sample weights with the corresponding class weight
            sample_weight = (sample_weight *
                             compute_sample_weight(self.class_weight, y))

        _BaseRidgeCV.fit(self, X, Y, sample_weight=sample_weight)
        return self

    @property
    def classes_(self):
        return self._label_binarizer.classes_
